Syllabus

Title
0412 Portfolio Management - Applications
Instructors
Univ.Prof. Dr. Otto Randl
Contact details
Type
PI
Weekly hours
2
Language of instruction
Englisch
Registration
09/01/23 to 09/22/23
Registration via LPIS
Notes to the course
Dates
Day Date Time Room
Friday 11/17/23 02:00 PM - 05:30 PM D4.0.136
Friday 11/24/23 02:00 PM - 05:30 PM D4.0.136
Friday 12/01/23 02:00 PM - 05:30 PM D4.0.136
Friday 12/15/23 02:00 PM - 05:30 PM D4.0.127
Friday 01/12/24 02:00 PM - 05:30 PM D4.0.136
Friday 01/19/24 02:00 PM - 05:30 PM D4.0.136
Friday 01/26/24 02:00 PM - 05:30 PM D4.0.136
Contents

In this course we will cover topics that build on the courses Asset/Risk Management I and II. For each topic, we will bring models to the data. The topics covered are: portfolio construction; fund strategies; performance evaluation; risk premia of stocks, bonds, and other asset classes. 

Learning outcomes
  • Deepen state-of-the-art academic knowledge in the area of portfolio management.
  • Gain deeper understanding of models by actually implementing them.
  • Get familiar with financial time series.
  • Learn to critically assess empirically results.
  • Train capability for teamwork.
Attendance requirements

Full attendance is compulsory. This means that students should attend at least 80% of all lectures, at most one lecture can be missed.

Teaching/learning method(s)

Students have to prepare home assignments, which are usually based on an academic paper, and involve R programming and data work. Students work in small teams with changing team composition.

Assessment

Grading is based on the following elements:

75% Quality of the submission (report, code, analysis)
25% individual presentations (number and quality of presentations)

There are 6 assignments. Grading is based on the 5 best submissions.

Grading scheme: [0-50): 5; [50-65): 4, [65-80): 3; [80-90): 2; [90-100]:1

Readings

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Last edited: 2023-06-20



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